Oil Prices and Personal Consumption Expenditures: Does the Source of the Shock Matter?
研究了结构性石油冲击对个人消费支出的影响，发现消费对油价冲击的反应不对称，且取决于冲击来源，对石油需求冲击反应显著，对供给冲击影响有限。
Abstract This paper studies the effect of structural oil shocks on personal consumption expenditures (PCE). First, we estimate a nonlinear simultaneous equation model, compute impulse responses by Monte Carlo integration, and conduct a test of the symmetry of the impulse response functions. We find that aggregate PCE responds asymmetrically to positive and negative oil‐specific demand shocks. Second, we find that aggregate PCE responds negatively to positive oil demand shocks, while adverse oil supply shocks are of limited effect. Third, we find important heterogeneity in the magnitude, sign and timing of the disaggregate PCE responses to structural shocks in the crude oil market. Our results clearly indicate that the response of PCE to an unexpected oil price increase depends on the source of the oil price shock. Our findings are robust to different nonlinear transformations for the real price of oil.